Neglected common factors in exchange rate volatility

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

ARCH modeling in finance

1992 • 4,478 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Modelling Financial Time Series

2007 • 1,507 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

Bayesian Analysis of Stochastic Volatility Models

2002 • 1,355 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

1990 • 811 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

2014 • 628 citations

Bayesian Analysis of Stochastic Volatility Models

1994 • 537 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

1991 • 500 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 411 citations

Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations

1986 • 389 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics

1991 • 377 citations

The statistical distribution of exchange rates: Empirical evidence and economic implications

1987 • 326 citations

Modelling financial time series

1987 • 316 citations

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

1990 • 313 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 274 citations

The empirical evidence on the efficiency of forward and futures foreign exchange markets

1988 • 260 citations

Risk, uncertainty, and exchange rates

1989 • 238 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?

1994 • 143 citations

On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?

1994 • 15 citations

Recent developments in modeling volatility in financial data

1991 • 3 citations